Accession Number:

ADA080709

Title:

An Introduction to Applied Multiple Time Series Analysis.

Descriptive Note:

Technical rept.,

Corporate Author:

WISCONSIN UNIV-MADISON DEPT OF STATISTICS

Personal Author(s):

Report Date:

1979-10-01

Pagination or Media Count:

41.0

Abstract:

An approach to the modelling and analysis of multiple time series is proposed. Properties of a class of vector autoregressive moving average models are discussed. Modelling procedures consisting of tentative specification, estimation and diagnostic checking are outlined and illustrated by three real examples. Various eigenvalue-eigenvector analyses are presented and some alternative approaches to multiple time series are briefly discussed. Author

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE